Quarterly report pursuant to Section 13 or 15(d)

Warrants (Tables)

v3.22.1
Warrants (Tables)
 9 Months Ended
Sep. 30, 2021
Equity [Abstract]  
Schedule of Fair Value Assumptions
The fair value of the earnout is arrived at using the Black-Scholes option pricing model (“OPM”) using the following assumptions:
MIS Black-Scholes OPM Assumptions
Risk-free interest rate
 0.05  %
Revenue volatility
 51.7  %
The assumptions used in the Black-Scholes OPM were as follows:
Roccor Black-Scholes OPM Assumptions
Risk-free interest rate
 0.1  %
Revenue discount rate
 7.0  %
Revenue volatility
 30.0  %
Earnout payment discount rate
 4.0  %
The private warrants were valued at $2.81 and $2.43 per warrant as of September 2, 2021 and September 30, 2021, respectively, under the Black-Scholes OPM using the following assumptions:
September 2,
2021		 September 30, 2021
Exercise price $ 11.50  $ 11.50 
Common stock price $ 10.50  $ 9.63 
Expected option term (years) 5 4.92
Expected volatility 32.80  % 34.40  %
Risk-free rate of return 0.78  % 0.96  %
Expected annual dividend yield —  % —  %